Dynamic asymmetric spillovers and volatility interdependence on China’s stock market

Generalized impulse response analysis in linear multivariate models

M. Hashem Pesaran, Yongcheol Shin · Economics Letters · 1998 · 5.9K citations

Multidimensional Analysis, Multivariate Approximation, Linear Multivariate Models +3

Better to give than to receive: Predictive directional measurement of volatility spillovers

Francis X. Diebold, Kamil Yılmaz · International Journal of Forecasting · 2011 · 5.1K citations

Economics, Volatility Modeling, Financial Economics +13

Impulse response analysis in nonlinear multivariate models

Gary Koop, M. Hashem Pesaran, Simon Potter · Journal of Econometrics · 1996 · 4.9K citations

Nonlinear System Identification, Impulse Response Analysis, Nonlinear Process +3

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Francis X. Diebold, Kamil Yılmaz · The Economic Journal · 2008 · 2.9K citations

Empirical Finance, Volatility Modeling, Time Series Econometrics +17

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2002 · 2.3K citations · Full text

Volatility Modeling, Engineering, Actual Volatility +22